流动性过剩、最优利率规则与通胀目标制：对中国货币政策的检验与冲击响应分析

内容简介

亚洲金融危机之后，流动性对于金融体系的重要性受到前所未有的强调。保持流动性，成为金融体系健全运行的基本原则之一。最近几年，流动性过剩成为人们在谈论宏观经济与资本市场时使用频率最高的概念，这一概念影响之深，不仅体现在人们的投资决策方面，而且体现在政府宏观政策决策方面。国务院总理温家宝在2007年的《政府工作报告》（以下简称《报告》）中称：“固定资产投资总规模依然偏大，银行资金流动性过剩问题突出，引发投资增长过快、信贷投放过多的因素仍然存在。”为积极应对流动性过剩问题，《报告》还指出：“继续实行稳健的货币政策，综合运用多种货币政策工具，合理调控货币信贷总量，有效缓解银行资金流动性过剩问题。”中国人民银行在2007年以来的货币政策操作，几乎都是在围绕着“流动性过剩”这一主题做文章。2007年以来，中国人民银行频繁地使用法定存款准备金率、基准利率、中央银行票据、货币掉期等多种流动性管理工具来遏制流动性过剩，然而效果却不十分明显。究其原因，可能源自两个方面：一是流动性过剩弱化了利率政策的传导机制，因而一味地提高基准利率并不能有效地稳定产出和通货膨胀，恰恰相反，当基准利率提高到某一临界点之上时，流动性过剩会突然转变为流动性不足，造成资产泡沫破裂和经济危机。美国的次级债危机就是一个典型的例子。二是虽然中央银行采用了发行票据、货币掉期等流动性管理工具，但由于缺乏一个最优的流动性目标，因而中央银行的流动性管理仍然处于一种盲目调控的状态。

本书试图基于流动性过剩来构建中国通胀目标制。首先，以流动性过剩为出发点，试图为我国实行通胀目标制寻求理论和现实基础。其次，试图基于流动性过剩构建我国的通胀目标制体系。这一体系包含三方面的内容：一是制度条件，即应提高中央银行的责任心、独立性和货币政策的透明度；二是流动性过剩管理策略，确定流动性过剩的合理区间和稳定流动性过剩预期；三是流动性过剩约束下的稳健最优利率规则，以实现中央银行承诺的预期通胀目标。

具体而言，除导言和结论外，本书正文将分五章分别展开论述。第二章回顾通胀目标制的理论基础，包括通胀目标制的内涵、理论渊源以及货币政策规则理论。第三章主要构建通胀目标制的一个基准的理论研究框架，也可以说是通胀目标制的一个基本的货币政策框架，包括模型框架、目标框架与政策框架。第四章基于资产期限结构探讨了流动性过剩的内涵，并对流动性过剩进行了定量测度和因子分析，在此基础上，提出了流动性管理策略。第五章构建了流动性过剩与完全时间一致性标准双重约束下的通胀目标制的 LRE 模型框架，并推导出考虑流动性过剩的稳健最优利率规则和流动性过剩均衡确定性条件。第六章考察了中国通货膨胀的惯性特征，并对通货膨胀进行了结构冲击响应分析，实证分析了结构外部冲击对输入型通胀的短期影响和长期影响以及对国内物价体系的传导路径，在此基础上，利用 1993年第一季度至2009年第四季度的中国经济数据对考虑流动性过剩的通胀目标制的稳健最优利率规则进行实证检验与非线性冲击响应分析。

本书特点体现在两个方面：在理论方面，尝试在通胀目标制的基准LRE 模型框架内引入流动性过剩因子，在考虑流动性过剩的 LRE 模型中，推导出附加流动性过剩因子的最优利率规则，其反应系数是流动性过剩的函数，因而最优利率规则呈现出非线性的特征；还基于确定性标准得出了为使 LRE 模型产生确定性理性预期均衡，流动性过剩应满足的均衡确定性条件；同时，还从理论上基于流动性过剩角度为我国作为转轨经济国家实行通胀目标制寻求理论和现实基础。在实证方面，遵循部分到整体的方式循序渐进依次展开：首先是流动性过剩。基于资产期限结构对我国流动性过剩进行测度和因子分解，定量给出了流动性管理策略。其次是通货膨胀。利用 VAR模型对通货膨胀进行了结构冲击响应分析，实证分析了结构外部冲击对输入型通胀的短期影响和长期影响以及对国内物价体系的传导路径。最后是考虑流动性过剩的通胀目标制的最优利率规则。利用中国转轨经济数据对中国通胀目标制的稳健最优利率规则进行实证检验和非线性冲击响应分析，考察通胀目标制下外生随机扰动对政策目标变量的影响。这三个方面形成一个有机整体，共同为流动性过剩背景下我国通胀目标制体系的构建提供一个参考框架。

本书框架结构是遵循这样一条技术路线展开的：理论综述→理论建模→模型求解与分析→模型的经验检验或模拟分析→政策含义。在理论建模部分，本书创新性地在完全时间一致性标准和流动性过剩双重约束下构建通胀目标制的 LRE 模型框架，对通胀目标制的基准 LRE 模型在流动性过剩约束下进行了改进；在模型求解与分析部分，采用拉格朗日最优化动态规划方法与最优控制理论；在模型的经验检验与模拟分析部分，采用回归分析、协整分析、主成分分析、VAR 建模、联立方程系统建模、定量模拟的分析方法，并使用 Matlab 编程实现非线性冲击响应分析。这种结构框架和研究方法力图使本书体现出现代经济学的研究规范。本书尝试基于流动性过剩来构建中国通胀目标制的理论框架和逻辑体系，但是由于中国通货膨胀动态特征和货币政策传导机制的复杂性，本书并没有在通胀目标制的 LRE 模型的传导机制约束条件中过多地考虑通货膨胀动态性，因而对考虑流动性过剩的最优利率规则的参数估计可能有偏，同时本书也没有对中国通胀目标制的目标规则进行检验和深入分析，这是本书研究的两个主要不足之处。另外，本书在结构编排和观点建议方面也难免有不妥之处，我们将在未来的研究工作中深入思考，予以完善和改进。

本书是在近三年来相关课题研究报告基础上修改整理而成的。这些课题包括：国家自然科学基金面上项目“最优利率规则：一般理论与应用”（项目编号：70473011）；国家自然科学基金面上项目“完全时间一致性标准、最优流动性过剩与中国稳健最优利率规则体系的构建”（项目编号：70873016）；国家自然科学基金青年项目“基于逻辑平滑转移的非线性非对称性货币政策规则的不确定性检验：对中国货币政策的应用”（项目编号：71003016）；教育部人文社科规划项目“经济转轨、通胀惯性与中国通胀目标制”（项目编号：08JA790013）；教育部人文社科青年项目“中国货币政策的不确定性：基于带通胀惯性的 LRE 模型的分析与检验”（项目编号：09YJC790028）；辽宁省教育厅高校创新团队项目“完全时间一致性与流动性过剩双重约束下中国稳健最优利率规则体系的构建”（项目编号：2008T036）。在研究与写作过程中，我们还得到了教育部、国家自然科学基金会、辽宁省教育厅、中国人民银行沈阳分行等多家单位的资助、协助和支持。此外，东北财经大学金融学院、科研处的领导与同志也给予了关注、理解和帮助，在此一并表示诚挚的谢意。特别感谢东北财经大学金融学院院长邢天才教授，邢院长往返北京数次，一直为本书的出版不辞辛劳地与出版社联系和沟通，我们对此铭感五内。

最后，我们要感谢中国社会科学出版社和本书的责任编辑卢小生编审，他们严谨高效的工作作风、认真负责的敬业精神以及训练有素的专业技能为本书的面世增色不少，在此深表敬意。

郭凯

2011年12月于东财师学斋

In the aftermath of the Asian financial crisis, the importance of liquidity to the financial system has been emphasized more than ever. Maintaining liquidity has become one of the basic principles for the sound operation of the financial system. In recent years, excess liquidity has become the most frequently used concept when talking about macroeconomics and capital markets, and this concept has a profound impact, not only in people's investment decisions, but also in government macro policy decisions. Premier Wen Jiabao said in the 2007 Government Work Report (hereinafter referred to as the Report): "The total scale of fixed asset investment is still large, the problem of excess liquidity of bank funds is prominent, and factors that trigger excessive investment growth and excessive credit still exist." In order to actively respond to the problem of excess liquidity, the report also pointed out: "Continue to implement a prudent monetary policy, comprehensively use a variety of monetary policy tools, reasonably regulate the total amount of monetary credit, and effectively alleviate the problem of excess liquidity of banks." People's Bank of China monetary policy operations since 2007 have almost always revolved around the theme of "excess liquidity." Since 2007, People's Bank of China have frequently used various liquidity management tools such as statutory reserve requirement ratios, benchmark interest rates, central bank bills, and currency swaps to curb excess liquidity, but the effect has not been obvious. The reason may come from two aspects: First, excess liquidity weakens the transmission mechanism of interest rate policy, so blindly raising the benchmark interest rate can not effectively stabilize output and inflation, on the contrary, when the benchmark interest rate is raised above a certain critical point, excess liquidity will suddenly turn into insufficient liquidity, resulting in the bursting of asset bubbles and economic crises. The subprime debt crisis in the United States is a case in point. Second, although the central bank adopts liquidity management tools such as issuing notes and currency swaps, due to the lack of an optimal liquidity target, the liquidity management of the central bank is still in a state of blind regulation. This book attempts to construct China's inflation targeting system based on excess liquidity. First of all, taking excess liquidity as the starting point, we try to seek a theoretical and practical basis for China's implementation of inflation targeting system. Second, it tries to build China's inflation targeting system based on excess liquidity. This system contains three aspects: first, institutional conditions, that is, the central bank's sense of responsibility, independence and monetary policy transparency should be enhanced; The second is the liquidity excess management strategy, which determines the reasonable range of excess liquidity and stabilizes the expectation of excess liquidity; The third is the rule of sound optimal interest rates under the constraint of excess liquidity to achieve the expected inflation target promised by the central bank. Specifically, in addition to the introduction and conclusion, the text of the book will be divided into five chapters. Chapter 2 reviews the theoretical basis of inflation targeting, including the connotation and theoretical origin of inflation-targeting, and the theory of monetary policy rules. Chapter 3 mainly constructs a theoretical research framework for benchmarking the inflation targeting system, which can also be said to be a basic monetary policy framework of the inflation targeting system, including the model framework, the target framework and the policy framework. Chapter 4 discusses the connotation of excess liquidity based on the term structure of assets, and quantifies the measurement and factor analysis of excess liquidity, and proposes liquidity management strategies on this basis. Chapter 5 constructs the LRE model framework of inflation targeting under the dual constraints of excess liquidity and perfect time consistency standard, and derives the stable optimal interest rate rule considering excess liquidity and the certainty condition of equilibrium of excess liquidity. Chapter 6 examines the inertial characteristics of inflation in China, analyzes the response to structural shocks to inflation, empirically analyzes the short-term and long-term effects of structural external shocks on imported inflation and the transmission path of the domestic price system, and uses the Chinese economic data from the first quarter of 1993 to the fourth quarter of 2009 to empirically test the robust optimal interest rate rule considering the inflation targeting system with excess liquidity and nonlinear shock response analysis. The characteristics of this book are reflected in two aspects: in theory, it tries to introduce excess liquidity factor within the framework of the benchmark LRE model of inflation targeting, and derives the optimal interest rate rule with additional excess liquidity factor in the LRE model considering excess liquidity, and its response coefficient is a function of excess liquidity, so the optimal interest rate rule presents nonlinear characteristics; Based on the deterministic criterion, the equilibrium certainty conditions that should be met for excess liquidity to produce deterministic rational expected equilibrium in the LRE model are also derived. At the same time, it also seeks a theoretical and practical basis for China's implementation of inflation targeting system as a country with an economy in transition from the perspective of excess liquidity. On the empirical side, a part-to-whole approach is followed in a gradual and sequential manner: first, excess liquidity. Based on the term structure of assets, the excess liquidity in China is measured and factorized, and the liquidity management strategy is quantitatively given. The second is inflation. The VAR model is used to analyze the response to structural shocks to inflation, and the short-term and long-term effects of structural external shocks on imported inflation and the transmission path of domestic price system are empirically analyzed. Finally, there is the optimal interest rate rule that considers the inflation targeting system with excess liquidity. The empirical test and nonlinear shock response analysis of the robust optimal interest rate rule of China's inflation targeting system are used to investigate the impact of exogenous random disturbances on policy target variables under the inflation targeting system. These three aspects form an organic whole, which together provides a reference framework for the construction of China's inflation targeting system under the background of excess liquidity. The framework structure of this book follows such a technical route: theoretical review→ theoretical modeling→ model solving and analysis→ empirical testing or simulation analysis of models→ policy implications. In the theoretical modeling part, this book innovatively constructs the LRE model framework of the inflation targeting system under the dual constraints of complete time consistency standard and excess liquidity, and improves the benchmark LRE model of the inflation targeting system under the constraint of excess liquidity. In the part of model solving and analysis, the Lagrange optimization dynamic programming method and optimal control theory are adopted. In the empirical testing and simulation analysis of the model, the analysis methods of regression analysis, cointegration analysis, principal component analysis, VAR modeling, simultaneous equation system modeling, quantitative simulation, and nonlinear shock response analysis are implemented using Matlab programming. This structural framework and research methodology seek to make this book reflect the research norms of modern economics. This book attempts to construct the theoretical framework and logical system of China's inflation targeting system based on excess liquidity, but due to the characteristics of China's inflation dynamics and the complexity of the monetary policy transmission mechanism, this book does not consider inflation dynamics too much in the transmission mechanism constraints of the LRE model of the inflation targeting system, so the parameters of the optimal interest rate rule considering excess liquidity may be biased, and this book does not test and deeply analyze the target rule of China's inflation targeting system. These are the two main deficiencies studied in this book. In addition, there are inevitably some improprieties in the structure and suggestions of this book, and we will think deeply about it in future research work, improve and improve it. This book is based on the research reports on related topics in the past three years. These topics include: the National Natural Science Foundation of China project "Optimal Interest Rate Rules: General Theory and Application" (project number: 70473011); National Natural Science Foundation of China's project "Complete Time Consistency Standard, Optimal Liquidity Excess and Construction of China's Robust and Optimal Interest Rate Rule System" (Project No.: 70873016); National Natural Science Foundation of China Youth Project, "Uncertainty Test of Nonlinear Asymmetric Monetary Policy Rules Based on Logical Smooth Transfer: Application of China's Monetary Policy" (Project No. 71003016); Ministry of Education Humanities and Social Sciences Planning Project "Economic Transition, Inflation Inertia and China's Inflation Targeting System" (Project No.: 08JA790013); Ministry of Education Humanities and Social Sciences Youth Project "Uncertainty of China's Monetary Policy: Analysis and Testing Based on LRE Model with Inflation Inertia" (Project No. 09YJC790028); Liaoning Provincial Department of Education University Innovation Team Project "Construction of China's Stable and Optimal Interest Rate Rule System under the Dual Constraints of Complete Time Consistency and Excess Liquidity" (Project No. 2008T036). In the process of research and writing, we have also received funding, assistance and support from the Ministry of Education, the National Natural Science Foundation of China, the Department of Education of Liaoning Province, People's Bank of China Shenyang Branch and other units. In addition, the leaders and comrades of the School of Finance and the Scientific Research Office of Dongbei University of Finance and Economics also gave attention, understanding and help, and expressed their sincere gratitude together. Special thanks to Professor Xing Tiancai, Dean of the School of Finance of Dongbei University of Finance and Economics, Dean Xing has traveled back and forth to Beijing several times, and has been working tirelessly to contact and communicate with the publishing house for the publication of this book. Finally, we would like to thank the China Social Sciences Press and Lu Xiaosheng, the editor-in-charge of this book, for their rigorous and efficient work style, serious and responsible professionalism and well-trained professional skills that have greatly enhanced the publication of this book. Guo Kai studied at Dongcai in December 2011（AI翻译）

作者简介

郭凯（著）: 暂无简介

孙音（著）: 暂无简介

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